[PDF] Top 20 Term structure of interest rates with stickiness: a subdiffusion approach
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Term structure of interest rates with stickiness: a subdiffusion approach
... In finance, Magdziarz [16] generalizes the Black-Scholes model by a subdiffusive geometric Brownian motion as a model of stock prices exhibiting subdiffusive dynamics. Magdziarz et. al. [17] also consider a subdiffusive ... See full document
20
Testing the expectations theory of the term structure of interest rates in threshold models
... the term structure of U.S. interest rates look for possible asymmetries in the response of the short-term interest rate to spreads between long and short rates; earlier ... See full document
20
Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information
... Our subsample and rolling TRMPSE analysis reveals that there does not seem to be a single model that consistently outperforms the random walk across all subperiods. The forecasting ability of individual models differs ... See full document
65
An Equilibrium Model of the Term Structure of Interest Rates: Recursive Preferences at Play
... affine structure for the pricing kernel like in GHPZ and Doh (2008), or a particular value for a preference parameter like in ...the approach shown in Tauchen and Hussey ... See full document
36
Are capital markets efficient? evidence from the term structure of interest rates in Europe
... Abstract: This paper investigates the uncovered interest parity hypothesis in an unusual way. We provide empirical evidence on the efficiency of capital markets using a time domain approach. However, a ... See full document
24
Federal Reserve Credibility and the Term Structure of Interest Rates
... an interest rate rule) and find that a time-varying inflation target significantly improves the fit of the longer ...time-varying term premia could be induced by allowing parameters of the utility function ... See full document
52
Application of teh Kalman Filter to Interest Rate Modelling
... the term structure of interest ...the term structure of various interest rate models has concentrated on the dynamic implication of the models using time-series or ... See full document
43
Assessing the Effects of Variability in Interest Rate Derivative Pricing
... the term structure of the zero curve such that it can be evaluated at every ...the term structure of interest rates by Fisher et ...This approach, recommended by Fisher et ... See full document
103
Arbitrage-Free Binomial Models of the Term Structure
... different approach to modeling the term structure can be traced to a article by Thomas Ho and Sang-Bin ...short-term interest rate and market prices of risk, only the structure of ... See full document
11
A macro finance approach to the term structure of interest rates
... Markov-Switching Vector Autoregression of the U.S. economy. This model identi- …es a high macroeconomic volatility regime that corresponds broadly to the Great In‡ation of the 1970s. This regime is also characterized by ... See full document
183
Matthies, Alexander (2018): Modelling risk in financial economics. Dissertation, LMU München: Fakultät für Mathematik, Informatik und Statistik
... the term structure set of GER, the US, the UK, and SWI for two time windows of the size τ = 42 and τ = 252 ...the term structure of interest ... See full document
138
The role of Regime Shifts in the Term Structure of Interest Rates: Further evidence from an Emerging Market
... that interest rate series have long run equilibrium, it is interesting to investigate the short run dynamic ...the term structure modeling is whether the short run error dynamics exhibit an ... See full document
31
Money and Finance Quarterly 3/1992
... Short-term interest rates Official discount rates Day-to-day money rate Treasury bill rate three months Long-term interest rates Yield on long-term government bonds at current prices 3.2[r] ... See full document
132
Money and Finance Quarterly 3/1995
... Short-term interest rates Official discount rates Day-to-day money rate Treasury bill rate three months Long-term interest rates Yield on long-term government bonds at current prices 3.2[r] ... See full document
180
Market expectations of the short rate and the term structure of interest rates: a new perspective from the classic model
... The finding for the third state variable is new. To my knowledge there are no pre- vious studies focus on the expectation of the expectation change. The finding seems to tell that the immediate long-end impact of ... See full document
35
Cross country evidence on the relation between stock prices and the current account
... As long as the time series dimension T is sufficiently large to run individual time series re- gressions, I can estimate the panel VAR in several ways: first, by stacking the data and using standard pooled estimators ... See full document
22
Short and long run tests of the expectations hypothesis: the Portuguese case
... Monthly data for IMM rates for 1, 3 and 6 months – “value date of same day” – are available at the website of Banco de Portugal (section B.10). Our dataset covers the period from January 1989 to April 2004, i.e., ... See full document
26
Money and Finance Quarterly 4/1991
... Short-term interest rates Official discount rate Day-to-day money rate Treasury bill rate three month Long-term interest rates Yield on long-term government bonds at current prices 3.2.2[r] ... See full document
128
Money and Finance Quarterly 1 2/1991
... Short-term interest rates Official discount rate Day-to-day money rate Treasury bill rate three month Long-term interest rates Yield on long-term government bonds at current prices 3.2.2[r] ... See full document
132
Money and Finance Quarterly 2/1992
... Short-term interest rates Official discount rate Day-to-day money rate Treasury bill rate three month Long-term interest rates Yield on long-term government bonds at current prices 3.2.2[r] ... See full document
128
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